题 目：Exchange Rate Exposure and the Cost of Debt: Evidence from Bank Loans
主讲人：Bill Francis教授 （Lally School of Management of Rensselaer Polytechnic Institute, USA）
时 间：7月2日(周一) 上午10:30-12:00
地 点：主楼216会议室
主讲人简介：
Dr. Bill B. Francis is the Bruggeman Distinguish Professor of Finance in the Lally School of Management and Technology of the Rensselaer Polytechnic Institute, USA. He holds a Ph.D. degree in Financial Economics from the University of Toronto, Canada. Prior to being awarded the Bruggeman Chair, he was the Gilbreth Faculty Fellow of Finance at RPI. He is also the PhD director of the Lally School of Management and also the Chair of the Finance and Accounting area.Professor Francis’ research interest focuses on empirical issues in finance. He is globally known for his expertise on international and corporate finance.
内容简介：
Using data on more than 6,000 loans issued to U.S. firms we examine whether firms’ exchange rate exposure matters to their cost of bank debt. The answer is yes it does. Utilizing three different exchange rate indices to obtain a measure of exposure, we find that exposure has a statistically significant and economically meaningful impact on loan spreads. Among firms that earn foreign income, for those with positive exposure to a broad index of currencies (similar to net importers), a one standard deviation increase in exposure increases loan spreads by as much as 48 basis points. Likewise, for those firms with negative exposure (similar to net exporters), a one standard deviation increase in the magnitude of exposure results in an increase in spreads of more than 20 basis points. We find economically large effects on loan spreads even accounting for hedging of exchange rate, interest rate, commodity price, or all of these risks, for firms with and without foreign income, and after accounting for endogeneity.